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test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

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[8]1\section{TrivialPF Class Reference}
2\label{classTrivialPF}\index{TrivialPF@{TrivialPF}}
3Trivial particle filter with proposal density that is not conditioned on the data. 
4
5
6{\tt \#include $<$libPF.h$>$}
7
[19]8Inheritance diagram for TrivialPF:\nopagebreak
9\begin{figure}[H]
[8]10\begin{center}
11\leavevmode
[19]12\includegraphics[width=49pt]{classTrivialPF__inherit__graph}
[8]13\end{center}
14\end{figure}
[19]15Collaboration diagram for TrivialPF:\nopagebreak
16\begin{figure}[H]
17\begin{center}
18\leavevmode
[28]19\includegraphics[width=85pt]{classTrivialPF__coll__graph}
[19]20\end{center}
21\end{figure}
[8]22\subsection*{Public Member Functions}
23\begin{CompactItemize}
24\item 
[28]25\textbf{TrivialPF} ({\bf mpdf} \&par, {\bf mpdf} \&obs, {\bf BM} \&prop, int n0)\label{classTrivialPF_c5a420747532e24b25cb0d835288795b}
[8]26
27\item 
28\textbf{TrivialPF} ({\bf mpdf} \&par, {\bf mpdf} \&obs, int n0)\label{classTrivialPF_59fc4c55a2d5fbb6bc9a17a9dd9a2e13}
29
30\item 
[28]31void \textbf{bayes} (const vec \&dt, bool {\bf evalll})\label{classTrivialPF_77a92bf054d763f806d27fc37a058389}
[8]32
[28]33\item 
34ivec {\bf resample} (RESAMPLING\_\-METHOD method=SYSTEMATIC)\label{classPF_a0e26b2f6a5884aca49122f3e4f0cf19}
[8]35
[28]36\begin{CompactList}\small\item\em Returns indexes of particles that should be resampled. The ordering MUST guarantee inplace replacement. (Important for MPF.). \item\end{CompactList}\item 
[32]37void {\bf bayes} (const vec \&dt)
[28]38\begin{CompactList}\small\item\em Incremental Bayes rule. \item\end{CompactList}\item 
39void {\bf bayes} (mat Dt)\label{classBM_87b07867fd4c133aa89a18543f68d9f9}
40
41\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
[32]42{\bf epdf} $\ast$ {\bf \_\-epdf} ()\label{classPF_53b7cc5a0709b0d40fb68408437c0aa2}
[28]43
44\begin{CompactList}\small\item\em Returns a pointer to the \doxyref{epdf}{p.}{classepdf} representing posterior density on parameters. Use with care! \item\end{CompactList}\end{CompactItemize}
45\subsection*{Public Attributes}
46\begin{CompactItemize}
47\item 
48double {\bf ll}\label{classBM_5623fef6572a08c2b53b8c87b82dc979}
49
50\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
51bool {\bf evalll}\label{classBM_bf6fb59b30141074f8ee1e2f43d03129}
52
53\begin{CompactList}\small\item\em If true, the filter will compute likelihood of the data record and store it in {\tt ll} . Set to false if you want to save time. \item\end{CompactList}\end{CompactItemize}
54\subsection*{Protected Attributes}
55\begin{CompactItemize}
56\item 
57int \textbf{n}\label{classPF_2c2f44ed7a4eaa42e07bdb58d503f280}
58
59\item 
60vec \textbf{w}\label{classPF_f6bc92f7979af4513b06b161497ba868}
61
62\item 
63Uniform\_\-RNG \textbf{URNG}\label{classPF_3568ca7c3b3175d98b548f496b4c34dd}
64
65\end{CompactItemize}
66
67
[8]68\subsection{Detailed Description}
69Trivial particle filter with proposal density that is not conditioned on the data.
70
71\subsection{Member Function Documentation}
72\index{TrivialPF@{TrivialPF}!bayes@{bayes}}
73\index{bayes@{bayes}!TrivialPF@{TrivialPF}}
[32]74\subsubsection{\setlength{\rightskip}{0pt plus 5cm}void PF::bayes (const vec \& {\em dt})\hspace{0.3cm}{\tt  [inline, virtual, inherited]}}\label{classPF_64f636bbd63bea9efd778214e6b631d3}
[8]75
76
77Incremental Bayes rule.
78
79\begin{Desc}
80\item[Parameters:]
81\begin{description}
[28]82\item[{\em dt}]vector of input data \end{description}
[8]83\end{Desc}
84
85
[32]86Implements {\bf BM} \doxyref{}{p.}{classBM_a892eff438aab2dd1a9e2efcb7fb5bdf}.
87
[8]88The documentation for this class was generated from the following files:\begin{CompactItemize}
89\item 
[19]90work/mixpp/bdm/estim/{\bf libPF.h}\item 
91work/mixpp/bdm/estim/libPF.cpp\end{CompactItemize}
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